Stochastic differential game in high frequency market
DOI10.1016/j.automatica.2019.02.051zbMath1411.91061OpenAlexW2920859411MaRDI QIDQ1737914
Taiga Saito, Akihiko Takahashi
Publication date: 24 April 2019
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2019.02.051
differential gamesstochastic controlNash equilibriumforward-backward stochastic differential equationsapplication in financehigh frequency market
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Actuarial science and mathematical finance (91G99)
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Cites Work
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